Elevation is a strong proxy for the thermal environment because it causes a predictable drop in temperature and food availability. This restricts cave-dwelling bats to species with specific metabolic traits, such as torpor or migration to avoid cold stress. In this context, we aimed to reveal how thermal niche differentiation structures 25 cave-dwelling bat assemblages along elevation gradients in two of the largest Bulgarian mountains—Stara Planina and Rhodopi. Multivariate PERMANOVA showed significant differences in bat assemblages among elevation groups (F = 1.616, p = 0.046), with altitude and temperature explaining 32.4% of the variance (p = 0.001). A high degree of species turnover (91.12% dissimilarity), driven by temperature niches, was observed: mesophilic Rhinolophus species dominated warm, low-elevation caves, while cold-adapted Myotis species were more common at high elevations. SIMPER analysis identified R. euryale as an indicator in low-elevation caves (p = 0.012) and the M. myotis/blythii complex at high elevations (p = 0.003). Alpha diversity showed no variation across elevation groups (p = 0.293), indicating that species turnover occurs without overall changes to local diversity. Mid-elevation assemblages lacked specific indicator species and resembled high-elevation communities, forming an ecotone. Thermal niche partitioning, as a physiological filter, shapes cave-dwelling bat assemblages and affects climate change range-shift predictions.